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Fixed income (Fixed Income: Basic Concepts (Reading 52. Fixed-Income…
Fixed income
Fixed Income: Basic Concepts
Reading 51. Fixed-Income Securities: Defining Elements
Overview of a Fixed-Income Security
2.1. Basic Features of a Bond
2.2. Yield Measures
2.1.2. Maturity
2.1.3. Par Value
2.1.4. Coupon Rate and Frequency
2.1.5. Currency Denomination
2.2. Yield Measures
Legal, Regulatory, and Tax Considerations
3.1. Bond Indenture
3.2. Legal and Regulatory Considerations
3.3. Tax Considerations
Structure of a Bond’s Cash Flows
4.1. Principal Repayment Structures
4.2. Coupon Payment Structures
Bonds with Contingency Provisions
5.1. Callable Bonds
5.1. Callable Bonds
5.3. Convertible Bonds
Reading 52. Fixed-Income Markets: Issuance, Trading, and Funding
Overview of Global Fixed-Income Markets
2.1. Classification of Fixed-Income Markets
2.2. Fixed-Income Indices
2.3. Investors in Fixed-Income Securities
Primary and Secondary Bond Markets
2.3. Investors in Fixed-Income Securities
2.3. Investors in Fixed-Income Securities
Sovereign Bonds
4.1. Characteristics of Sovereign Bonds
4.2. Credit Quality of Sovereign Bonds
4.3. Types of Sovereign Bonds
Non-Sovereign Government, Quasi-Government, and Supranational Bonds
5.1. Non-Sovereign Bonds
5.2. Quasi-Government Bonds
5.3. Supranational Bonds
Corporate Debt
6.1. Bank Loans and Syndicated Loansz
6.2. Commercial Paper
6.3. Corporate Notes and Bonds
Structured Financial Instruments
7.1. Capital Protected Instruments
7.2. Yield Enhancement Instruments
7.3. Participation Instruments
7.3. Participation Instruments
Short-Term Funding Alternatives Available to Banks
8.1. Retail Deposits
8.2. Short-Term Wholesale Funds
8.3. Repurchase and Reverse Repurchase Agreements
Reading 53. Introduction to Fixed-Income Valuation
Bond Prices and the Time Value of Money
2.1. Bond Pricing with a Market Discount Rate
2.2. Yield-to-Maturity
2.3. Relationships between the Bond Price and Bond Characteristics
2.4. Pricing Bonds with Spot Rates
Prices and Yields: Conventions for Quotes and Calculations
3.1. Flat Price, Accrued Interest, and the Full Price
3.2. Matrix Pricing
3.3. Yield Measures for Fixed-Rate Bonds
3.4. Yield Measures for Floating-Rate Notes
3.5. Yield Measures for Money Market Instruments
The Maturity Structure of Interest Rates
Yield Spreads
5.1. Yield Spreads over Benchmark Rates
5.2. Yield Spreads over the Benchmark Yield Curve
Reading 54. Introduction to Asset-Backed Securities
Benefits of Securitization for Economies and Financial Markets
How Securitization Works
3.1. An Example of a Securitization
3.1. An Example of a Securitization
3.3. Structure of a Securitization
3.4. Key Role of the Special Purpose Entity
Residential Mortgage Loans
4.1. Maturity
4.2. Interest Rate Determination
4.3. Amortization Schedule
4.4. Prepayment Options and Prepayment Penalties
4.5. Rights of the Lender in a Foreclosure
Residential Mortgage-Backed Securities
5.1. Mortgage Pass-Through Securities
5.2. Collateralized Mortgage Obligations
5.3. Non-agency Residential Mortgage-Backed Securities
Commercial Mortgage-Backed Securities
6.1. Credit Risk
6.2. CMBS Structure
Non-Mortgage Asset-Backed Securities
7.1. Auto Loan ABS
7.2. Credit Card Receivable ABS
Collateralized Debt Obligations
8.1. CDO Structure
8.2. An Example of a CDO Transaction
Fixed Income: Analysis of Risk
Reading 55. Understanding Fixed-Income Risk and Return
Sources of Return
Interest Rate Risk on Fixed-Rate Bonds
3.1. Macaulay, Modified, and Approximate Duration
3.2. Effective Duration
3.3. Key Rate Duration
3.4. Properties of Bond Duration
3.5. Duration of a Bond Portfolio
3.6. Money Duration of a Bond and the Price Value of a Basis Point
3.7. Bond Convexity
Interest Rate Risk and the Investment Horizon
4.1. Yield Volatility
4.2. Investment Horizon, Macaulay Duration, and Interest Rate Risk
Credit and Liquidity Risk
Reading 56. Fundamentals of Credit Analysis
Credit Risk
Capital Structure, Seniority Ranking, and Recovery Rates
3.1. Capital Structure
3.2. Seniority Ranking
3.3. Recovery Rates
Ratings Agencies, Credit Ratings, and Their Role in the Debt Markets
4.1. Credit Ratings
4.2. Issuer vs. Issue Ratings
4.3. Risks in Relying on Agency Ratings
Traditional Credit Analysis: Corporate Debt Securities
5.1. Credit Analysis vs. Equity Analysis: Similarities and Differences
5.2. The Four Cs of Credit Analysis: A Useful Framework
5.2.1. Capacity
5.2.2. Collateral
5.2.2. Collateral
5.2.4. Character
Credit Risk vs. Return: Yields and Spreads
Special Considerations of High-Yield, Sovereign, and Non-Sovereign Credit Analysis
7.1. High Yield
7.2. Sovereign Debt
7.2. Sovereign Debt